The Impact of Monetary and Fiscal Policy Uncertainty on Bond Yields: Findings from a Panel of Developed Countries (1999–2025)

Abstract

This study examines how monetary policy uncertainty (MPU) and fiscal policy uncertainty (FPU) affect government bond yields across eleven developed economies from January 1999 to March 2025. It uses five- and ten-year bond yields as the dependent variables. The analysis employs panel quantile regression to capture the heterogeneous effects of uncertainty across market conditions, complemented by fixed-effects models with Driscoll-Kraay standard errors to ensure robustness. Findings indicate that MPU significantly increases bond yields, whereas FPU has a negative effect. These effects are more pronounced during adverse market conditions and tend to diminish as conditions improve. Moreover, both forms of uncertainty have a stronger impact on short-term bond yields than on long-term yields. The results suggest that policy uncertainty affects bond markets differently by maturity and exhibits asymmetry. To promote financial stability and market efficiency, policymakers should endeavor to mitigate uncertainty through transparent and credible monetary and fiscal policies.

Keywords

• Monetary Policy Uncertainty
• Fiscal Policy Uncertainty
• Bond Yield
• Panel Quantile Regression

Para Politikası ve Maliye Politikası Belirsizliğinin Tahvil Getirilerine Yansımaları: Gelişmiş Ülkeler Panelinden Bulgular (1999–2025)

Abstract

Bu çalışma, Ocak 1999’dan Mart 2025’e kadar on bir gelişmiş ekonomide para politikası belirsizliğinin (PPB) ve maliye politikası belirsizliğinin (MPB) devlet tahvili getirileri üzerindeki etkisini incelemektedir. Bağımlı değişkenler olarak 5 ve 10 yıllık tahvil getirileri kullanılmıştır. Analiz, piyasa koşullarındaki heterojen etkileri yakalamak için panel kantil regresyonu ve sağlamlığı sağlamak amacıyla Driscoll-Kraay standart hatlarıyla sabit etkili modelleri kullanmaktadır. Bulgular, MPU’nun tahvil getirilerini anlamlı şekilde artırdığını, FPU’nun ise negatif bir etki yarattığını göstermektedir. Bu etkiler, olumsuz piyasa koşullarında daha belirgin olup, koşullar iyileştikçe azalma eğilimindedir. Ayrıca, her iki belirsizlik türü de kısa vadeli tahvil getirileri üzerinde uzun vadeli getirilerden daha güçlü bir etki yaratmaktadır. Sonuçlar, politika belirsizliğinin tahvil piyasalarını vade açısından farklı şekilde etkilediğini ve asimetrik bir yapı sergilediğini göstermektedir. Finansal istikrar ve piyasa verimliliğini artırmak amacıyla, politika yapıcıların şeffaf ve güvenilir para ve maliye politikalarıyla belirsizliği azaltmaya çalışması önemlidir.

Keywords

• Para Politikası Belirsizliği
• Maliye Politikası Belirsizliği
• Tahvil Getirisi
• Panel Kantil Regresyon

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